First things first: What defines Xan enough to be his High Concept? Well, what we know is that Xan is an elf from Evereska sent to Nashkell to investigate the happenings at the mines. He's a rather dour, sarcastic and pessimistic fellow, doesn't get along well with Eldoth the bard and often wishes him ill (even showing a brief moment of happiness should Eldoth fall in battle), nor does he get along with Ajantis whom he sees as having an over-simplified worldview. Xan also has a powerful Moonblade, and is a Greycloak (a sort of magical law enforcement agent) of Evereska. Additionally, Xan was chosen by the Moonblade to be it's wielder--this hints that he's probably going to be someone important later on.
Most importantly, however, Xan is a Lost Greycloak of Evereska. That tells us how he fits into the game universe.
For his trouble, I'm going to take a quote directly from his voice set. Our Quest is Vain. Or perhaps We're All Doomed might be more fitting. Our Quest is Vain has a little more zazz and proactiveness to it, so I'm going to go with that one.
Xan's Moonblade is a pretty powerful item, as well as something indicative of him having an important role later not (never happens in BG or BG2, but if the BG:EE guys are reading this... Baldur's Gate 3? Maybe Xan should become someone important!) and something that defines his position in Evereska, so for his background aspect, rather than going with his capture by Mulahey, I think his Moonblade should get its own aspect. Chosen by the Moonblade has a lot of clout to it, especially once you realize the importance of the Moonblade beyond being an awesome item for a mage to haul around.
Xan having as many lines as he does for Ajantis and Eldoth makes him stand out in Baldur's Gate, so I think we can assume those would make good aspects as well. Ajantis Lives in a Black and White World is a pretty catching aspect, I think, and really establishes his relationship with the paladin squire.
As much as I try to stick to his dialogue for these aspects, he doesn't have a really snappy line that defines his thoughts on Eldoth, so I'm going to have to make something up. We know he doesn't like Eldoth because he views him as crude, unnerving, and just plain mean-spirited, so lets say Eldoth Should be Locked Up, as I think that pretty much sums up why he can't stand the guy. Aside from Eldoth being evil, he's also quite unashamedly criminal, and Xan is a law enforcement officer.
That covers Xan's 5 aspects. Next, we're going to cover his skills.
As Xan is an enchanter, Lore is quite obviously going to be his peak skill at +4. Xan is also an investigator, so Investigation and Empathy should fit nicely at +3. I think he'd be pretty good at telling when people are lieing, and he is an enchanter. Next down we have Will, Contacts, and Rapport at +2. As pessimistic as he is, he's also the only person who can keep Ajantis from just randomly attacking evil party members. Finally, I think Notice, Fight, Athletics, and Resources. He can use that Moonblade if he has to (I mean, sure he's a D&D mage, but I'm not going to let the mechanics trump story here), and he's pretty good at keeping out of trouble. If he were back home in Evereska, I think he'd have more resources at his disposal than he does here on the Sword Coast. As an investigator, he's kept his eyes trained, but that's not his main method of investigation.
As for Stunts, I'm going to give him the stunt Arcane Enchanter. This lets him use Lore to Create an Advantage by casting mind-affecting spells such as Sleep or Charm. If I were trying to translate him as a D&D mage, I'd also let his magic attack, but I always used him purely for Crowd Control. I mean, he is an enchantment specialist, and he's darned good at it, so I think this is a fairly simple stunt for him to have handy.
Next I'll give him the Practiced Investigator stunt, which gives him a +2 to Overcome aspects meant to hide a criminal's trail of clues.
For his third stunt, I think something concerning the Moonblade would be appropriate so, I'll give him a stunt Chosen by the Moonblade, which grants him a +2 when using Fight to attack in melee with the Moonblade. Some might think this gives him a +2 all the time, but then they forget that something as simple as having the "Unarmed" aspect put on him by a foe, or the GM being mean and compelling his "Chosen of the Moonblade" aspect to mean he left his moonblade at home will deprive him of this +2.
So, to recap:
Lost Greycloak of Evereska
Trouble: Our Quest is Vain
Chosen of the Moonblade
Ajantis Lives in a Black and White World
Eldoth Should be Locked Up
Investigation, Empathy +3
Will, Contacts, Rapport +2
Fight, Notice, Resources, Athletics +1
Chosen by the Moonblade (+2 when attacking melee with Fight if wielding the Moonblade)
Practice Investigator (+2 when using Investigate to Overcome advantages intended to conceal a criminal's trail)
Arcane Enchanter (Can use Lore to create an advantage by casting a mind affecting spell such as a sleep spell or a charm spell. This can be defended against by Will.)